Former wife deep in thought? That could be costly! (9)
I believe the answer is:
expensive
'costly' is the definition.
('expensive' can be similar in meaning to 'costly')
'former wife deep in thought?' is the wordplay.
'former wife' becomes 'ex'.
'deep in thought?' becomes 'pensive' (I've seen this before).
'ex'+'pensive'='EXPENSIVE'
'that could be' acts as a link.
(Other definitions for expensive that I've seen before include "Pricey" , "Very costly or dear" , "Charging a lot" , "priceless" , "Highly-priced" .)